diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/index.py | 98 | ||||
| -rw-r--r-- | python/analytics/option.py | 38 | ||||
| -rw-r--r-- | python/analytics/portfolio.py | 24 | ||||
| -rw-r--r-- | python/analytics/scenarios.py | 6 |
4 files changed, 83 insertions, 83 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 58cada76..f27bef6d 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -53,11 +53,11 @@ class Index(object): """ minimal class to represent a credit index """ __slots__ = ['fixed_rate', 'notional', '_start_date', '_end_date', 'recovery', '_version', '_fee_leg', '_default_leg', - '_trade_date', '_yc', '_sc', '_risky_annuity', '_spread', + '_value_date', '_yc', '_sc', '_risky_annuity', '_spread', '_price', 'name', 'issue_date', '_quote_is_price', '_direction', 'currency', '_step_in_date', '_accrued', - '_value_date', '_dl_pv', '_pv', '_clean_pv', - '_original_clean_pv', '_original_trade_date', + '_cash_settle_date', '_dl_pv', '_pv', '_clean_pv', + '_original_clean_pv', '_trade_date', 'index_type', 'series', 'tenor', '_observed'] def __init__(self, start_date, end_date, recovery, fixed_rate, notional=10e6, quote_is_price=False, issue_date=None): @@ -80,7 +80,7 @@ class Index(object): self._fee_leg = FeeLeg(self._start_date, end_date, True, 1., 1.) self._default_leg = ContingentLeg(self._start_date, end_date, True) - self._trade_date = None + self._value_date = None self._yc, self._sc = None, None self._risky_annuity = None self._spread, self._price = None, None @@ -88,9 +88,9 @@ class Index(object): self.issue_date = issue_date self._quote_is_price = quote_is_price self._direction = -1. - for attr in ['currency', '_step_in_date', '_value_date', '_accrued', + for attr in ['currency', '_step_in_date', '_cash_settle_date', '_accrued', '_dl_pv', '_pv', '_clean_pv', '_original_clean_pv', - '_original_trade_date', 'index_type', 'series', 'tenor']: + '_trade_date', 'index_type', 'series', 'tenor']: setattr(self, attr, None) self._observed = WeakSet() @@ -148,16 +148,16 @@ class Index(object): raise ValueError("Direction needs to be either 'Buyer' or 'Seller'") def _update(self): - self._sc = SpreadCurve(self.trade_date, self._yc, self.start_date, - self._step_in_date, self._value_date, + self._sc = SpreadCurve(self.value_date, self._yc, self.start_date, + self._step_in_date, self._cash_settle_date, [self.end_date], np.array([self._spread]), np.zeros(1), np.array([self.recovery])) - self._risky_annuity = self._fee_leg.pv(self.trade_date, self._step_in_date, - self._value_date, self._yc, + self._risky_annuity = self._fee_leg.pv(self.value_date, self._step_in_date, + self._cash_settle_date, self._yc, self._sc, False) self._dl_pv = self._default_leg.pv( - self.trade_date, self._step_in_date, self._value_date, + self.value_date, self._step_in_date, self._cash_settle_date, self._yc, self._sc, self.recovery) self._pv = self._dl_pv - self._risky_annuity * self.fixed_rate * 1e-4 self._clean_pv = self._pv + self._accrued * self.fixed_rate * 1e-4 @@ -209,16 +209,16 @@ class Index(object): if self._price is None or math.fabs(val-self._price) > 1e-6: self._clean_pv = (100 - val) / 100 self._sc = SpreadCurve( - self.trade_date, self._yc, self.start_date, - self._step_in_date, self._value_date, + self.value_date, self._yc, self.start_date, + self._step_in_date, self._cash_settle_date, [self.end_date], array.array('d',[self.fixed_rate*1e-4]), array.array('d', [self._clean_pv]), array.array('d', [self.recovery])) self._risky_annuity = self._fee_leg.pv( - self.trade_date, self._step_in_date, self._value_date, + self.value_date, self._step_in_date, self._cash_settle_date, self._yc, self._sc, False) self._dl_pv = self._default_leg.pv( - self.trade_date, self._step_in_date, self._value_date, + self.value_date, self._step_in_date, self._cash_settle_date, self._yc, self._sc, self.recovery) self._pv = self._clean_pv - self._accrued * self.fixed_rate * 1e-4 self._spread = self._clean_pv / (self._risky_annuity - self._accrued) \ @@ -250,13 +250,13 @@ class Index(object): @property def theta(self): - old_pv, old_trade_date = self.clean_pv, self.trade_date + old_pv, old_value_date = self.clean_pv, self.value_date with warnings.catch_warnings(): warnings.simplefilter("ignore") - self.trade_date = self.trade_date + relativedelta(days=1) + self.value_date = self.value_date + relativedelta(days=1) carry = self.notional * self._direction * self.fixed_rate * 1e-4/360 roll_down = self.clean_pv - old_pv - self.trade_date = old_trade_date + self.value_date = old_value_date return carry + roll_down @property @@ -265,7 +265,7 @@ class Index(object): # for rh in self._helpers: # rh.quote += 1e-4 # self._yc = ql_to_jp(self._ql_yc) - helpers = rate_helpers(self.currency, evaluation_date=self.trade_date) + helpers = rate_helpers(self.currency, evaluation_date=self.value_date) for rh in helpers: rh.quote += 1e-4 ql_yc = YC(helpers) @@ -301,32 +301,32 @@ class Index(object): return self._risky_annuity - self._accrued @property - def trade_date(self): - if self._trade_date is None: - raise AttributeError('Please set trade_date first') + def value_date(self): + if self._value_date is None: + raise AttributeError('Please set value_date first') else: - return self._trade_date + return self._value_date - @trade_date.setter - def trade_date(self, d): + @value_date.setter + def value_date(self, d): if isinstance(d, datetime.datetime): d = d.date() self.start_date = previous_twentieth(d) self._yc = get_curve(d, self.currency) # use the rolled forward curve if we price something in the future - if self._yc.base_date < d: - self._yc = self._yc.expected_forward_curve(d) - self._trade_date = d - self._step_in_date = self.trade_date + datetime.timedelta(days=1) + # if self._yc.base_date < d: + # self._yc = self._yc.expected_forward_curve(d) + self._value_date = d + self._step_in_date = d + datetime.timedelta(days=1) self._accrued = self._fee_leg.accrued(self._step_in_date) - self._value_date = pd.Timestamp(self._trade_date) + 3* BDay() + self._cash_settle_date = pd.Timestamp(self._value_date) + 3* BDay() if self._spread is not None: self._update() self.notify() def reset_pv(self): self._original_clean_pv = self._clean_pv - self._original_trade_date = self._trade_date + self._trade_date = self._value_date @property def pnl(self): @@ -334,7 +334,7 @@ class Index(object): raise ValueError("original pv not set") else: ## TODO: handle factor change - days_accrued = (self.trade_date - self._original_trade_date).days / 360 + days_accrued = (self.value_date - self._trade_date).days / 360 return - self._direction * self.notional * self.factor * \ (self._clean_pv - self._original_clean_pv - days_accrued * self.fixed_rate * 1e-4) @@ -347,7 +347,7 @@ class Index(object): self._observed.add(obj) def mark(self): - if self.trade_date == datetime.date.today(): + if self.value_date == datetime.date.today(): with init_bbg_session(BBG_IP) as session: security = self.name + " Corp" field = "PX_LAST" @@ -356,14 +356,14 @@ class Index(object): else: run = _engine.execute("""SELECT * FROM index_quotes WHERE index=%s AND series=%s AND tenor=%s AND date=%s""", - (self.index_type, self.series, self.tenor, self.trade_date)) + (self.index_type, self.series, self.tenor, self.value_date)) rec = run.fetchone() self.spread = rec.closespread @property def factor(self): for lastdate, factor, _ in self._version: - if lastdate >= self.trade_date: + if lastdate >= self.value_date: return factor else: return 1 @@ -371,13 +371,13 @@ class Index(object): @property def version(self): for lastdate, _, version in self._version: - if lastdate >= self.trade_date: + if lastdate >= self.value_date: return version else: return None @classmethod - def from_name(cls, index=None, series=None, tenor=None, trade_date=datetime.date.today(), + def from_name(cls, index=None, series=None, tenor=None, value_date=datetime.date.today(), notional=10_000_000, redcode=None, maturity=None): if all([index, series, tenor]): sql_str = "SELECT indexfactor, lastdate, maturity, coupon, " \ @@ -409,7 +409,7 @@ class Index(object): return None else: recovery = 0.4 if index_type in ['IG', 'EU'] else 0.3 - instance = cls(trade_date, maturity, recovery, coupon, notional, + instance = cls(value_date, maturity, recovery, coupon, notional, index_type == "HY", df.issue_date[0]) instance._version = tuple((ld.date(), factor / 100, version) for ld, factor, version in \ df[['lastdate', 'indexfactor', 'version']].itertuples(index=False)) @@ -428,7 +428,7 @@ class Index(object): instance.currency = "USD" else: instance.currency = "EUR" - instance.trade_date = trade_date + instance.value_date = value_date return instance @classmethod @@ -452,10 +452,10 @@ class Index(object): instance.name = rec.security_desc instance.currency = rec.currency instance.direction = rec.protection - instance.trade_date = rec.trade_date + instance.value_date = rec.trade_date instance.pv = rec.upfront instance._original_clean_pv = instance._clean_pv - instance._original_trade_date = rec.trade_date + instance._trade_date = rec.trade_date instance.index_type = index_type instance.series = rec.series instance.tenor = rec.tenor @@ -488,8 +488,8 @@ class Index(object): s += build_table(rows, format_strings, "{:<20}{:>19}\t\t{:<20}{:>15}") s += ["", colored("Calculator", attrs = ['bold'])] - rows = [["Valuation Date", self.trade_date], - ["Cash Settled On", self._value_date]] + rows = [["Valuation Date", self.value_date], + ["Cash Settled On", self._cash_settle_date]] format_strings = [[None, '{:%m/%d/%y}'], [None, '{:%m/%d/%y}']] s += build_table(rows, format_strings, "{:<20}\t{:>15}") @@ -524,8 +524,8 @@ class ForwardIndex(object): @classmethod def from_name(cls, index_type, series, tenor, forward_date, - trade_date=datetime.date.today(), notional=10e6): - index = Index.from_name(index_type, series, tenor, trade_date, notional) + value_date=datetime.date.today(), notional=10e6): + index = Index.from_name(index_type, series, tenor, value_date, notional) return cls(index, forward_date) @property @@ -552,12 +552,12 @@ class ForwardIndex(object): return hash(tuple(getattr(self, k) for k in ForwardIndex.__slots__ if k != '__weakref__')) def _update(self, *args): - if self.index.trade_date > self.forward_date: - return + if self.index.value_date > self.forward_date: + raise ValueError("Option expired") if self.index._sc is not None: step_in_date = self.forward_date + datetime.timedelta(days=1) - a = self.index._fee_leg.pv(self.index.trade_date, step_in_date, - self.index.trade_date, self.index._yc, self.index._sc, False) + a = self.index._fee_leg.pv(self.index.value_date, step_in_date, + self.index.value_date, self.index._yc, self.index._sc, False) Delta = self.index._fee_leg.accrued(step_in_date) q = self.index._sc.survival_probability(self.forward_date) self._forward_annuity = a - Delta * self.df * q diff --git a/python/analytics/option.py b/python/analytics/option.py index f21f683f..4257b4e9 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -104,7 +104,7 @@ class BlackSwaption(ForwardIndex): if rec is None: return ValueError("trade_id doesn't exist") if index is None: - index = Index.from_name(redcode=rec.security_id, maturity=rec.maturity, trade_date=rec.trade_date) + index = Index.from_name(redcode=rec.security_id, maturity=rec.maturity, value_date=rec.trade_date) index.ref = rec.index_ref instance = cls(index, rec.expiration_date, rec.strike, rec.swaption_type.lower(), direction="Long" if rec.buysell else "Short") @@ -243,7 +243,7 @@ class BlackSwaption(ForwardIndex): if self._original_pv is None: raise ValueError("original pv not set") else: - if self.index.trade_date > self.forward_date: #TODO: do the right thing + if self.index.value_date > self.forward_date: #TODO: do the right thing return 0 - self._original_pv else: return self.pv - self._original_pv @@ -268,7 +268,7 @@ class BlackSwaption(ForwardIndex): if self._T: return self._T else: - return ((self.exercise_date - self.index.trade_date).days + 0.25)/365 + return ((self.exercise_date - self.index.value_date).days + 0.25)/365 @property def gamma(self): @@ -330,7 +330,7 @@ class BlackSwaption(ForwardIndex): s = ["{:<20}{}".format(self.index.name, self.option_type), "", "{:<20}\t{:>15}".format("Trade Date", ('{:%m/%d/%y}'. - format(self.index.trade_date)))] + format(self.index.value_date)))] rows = [["Ref Sprd (bp)", self.index.spread, "Coupon (bp)", self.index.fixed_rate], ["Ref Price", self.index.price, "Maturity Date", self.index.end_date]] format_strings = [[None, "{:.2f}", None, "{:,.2f}"], @@ -448,7 +448,7 @@ def _get_keys(df, models=["black", "precise"]): yield (quotedate, source, option_type) class QuoteSurface(): - def __init__(self, index_type, series, tenor='5yr', trade_date=datetime.date.today()): + def __init__(self, index_type, series, tenor='5yr', value_date=datetime.date.today()): self._quotes = pd.read_sql_query( "SELECT quotedate, index, series, ref, fwdspread, expiry, " \ "swaption_quotes.*, quote_source " \ @@ -459,7 +459,7 @@ class QuoteSurface(): "ORDER BY quotedate DESC", _engine, parse_dates=['quotedate', 'expiry'], - params=(trade_date, index_type.upper(), series)) + params=(value_date, index_type.upper(), series)) self._quotes.loc[(self._quotes.quote_source == "GS") & (self._quotes['index'] =="HY"), ["pay_bid", "pay_offer", "rec_bid", "rec_offer"]] *=100 if self._quotes.empty: @@ -468,7 +468,7 @@ class QuoteSurface(): dt.tz_convert('America/New_York'). dt.tz_localize(None)) self._quotes = self._quotes.sort_values('quotedate') - self.trade_date = trade_date + self.value_date = value_date def list(self, source=None): """returns list of quotes""" @@ -481,8 +481,8 @@ class QuoteSurface(): return r class VolSurface(QuoteSurface): - def __init__(self, index_type, series, tenor='5yr', trade_date=datetime.date.today()): - super().__init__(index_type, series, tenor, trade_date) + def __init__(self, index_type, series, tenor='5yr', value_date=datetime.date.today()): + super().__init__(index_type, series, tenor, value_date) self._surfaces = {} def __getitem__(self, surface_id): @@ -491,7 +491,7 @@ class VolSurface(QuoteSurface): quotes = self._quotes[(self._quotes.quotedate == quotedate) & (self._quotes.quote_source == source)] quotes = quotes.assign(moneyness=quotes.strike / quotes.fwdspread, - time=((quotes.expiry - self.trade_date).dt.days + 0.25) / 365) + time=((quotes.expiry - self.value_date).dt.days + 0.25) / 365) spline = lambda df: CubicSpline(np.log(df.moneyness), df.vol, bc_type="natural") h = quotes.sort_values('moneyness').groupby('time').apply(spline) self._surfaces[surface_id] = MyInterp(h.index.values, h.values) @@ -552,9 +552,9 @@ def _calibrate(index, quotes, option_type, **kwargs): return _calibrate_sabr(index, quotes, option_type, kwargs['beta']) class ModelBasedVolSurface(VolSurface): - def __init__(self, index_type, series, tenor='5yr', trade_date=datetime.date.today()): - super().__init__(index_type, series, tenor, trade_date) - self._index = Index.from_name(index_type, series, tenor, trade_date, notional=1.) + def __init__(self, index_type, series, tenor='5yr', value_date=datetime.date.today()): + super().__init__(index_type, series, tenor, value_date) + self._index = Index.from_name(index_type, series, tenor, value_date, notional=1.) self._surfaces = {} self._quotes = self._quotes.assign( pay_mid=self._quotes[['pay_bid', 'pay_offer']].mean(1) * 1e-4, @@ -619,18 +619,18 @@ def _forward_annuity(expiry, index): step_in_date = expiry + datetime.timedelta(days=1) expiry_settle = pd.Timestamp(expiry) + 3* BDay() df = index._yc.discount_factor(expiry_settle) - a = index._fee_leg.pv(index.trade_date, step_in_date, - index.trade_date, index._yc, index._sc, False) + a = index._fee_leg.pv(index.value_date, step_in_date, + index.value_date, index._yc, index._sc, False) Delta = index._fee_leg.accrued(step_in_date) q = index._sc.survival_probability(expiry) return a - Delta * df * q class ProbSurface(QuoteSurface): - def __init__(self, index_type, series, tenor='5yr', trade_date=datetime.date.today()): - super().__init__(index_type, series, tenor, trade_date) + def __init__(self, index_type, series, tenor='5yr', value_date=datetime.date.today()): + super().__init__(index_type, series, tenor, value_date) self._surfaces = {} - self._index = Index.from_name(index_type, series, tenor, trade_date) + self._index = Index.from_name(index_type, series, tenor, value_date) def __getitem__(self, surface_id): if surface_id not in self._surfaces: @@ -638,7 +638,7 @@ class ProbSurface(QuoteSurface): quotes = self._quotes[(self._quotes.quotedate == quotedate) & (self._quotes.quote_source == source)] self._index.ref = quotes.ref.iat[0] - quotes = quotes.assign(time=((quotes.expiry - self.trade_date).dt.days + 0.25) / 365, + quotes = quotes.assign(time=((quotes.expiry - self.value_date).dt.days + 0.25) / 365, pay_mid=quotes[['pay_bid','pay_offer']].mean(1), rec_mid=quotes[['rec_bid','rec_offer']].mean(1), forward_annuity=quotes.expiry.apply(_forward_annuity, diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index bea0f5cd..fd73e0e5 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -33,14 +33,14 @@ class Portfolio: self.trades = trades self.indices = [t for t in trades if isinstance(t, Index)] self.swaptions = [t for t in trades if isinstance(t, BlackSwaption)] - trade_dates = set(index.trade_date for index in self.indices) + value_dates = set(index.value_date for index in self.indices) self._keys = [(index.index_type, index.series, index.tenor) for index in self.indices] for swaption in self.swaptions: - trade_dates.add(swaption.index.trade_date) - self._trade_date = trade_dates.pop() - if len(trade_dates) >= 1: + value_dates.add(swaption.index.value_date) + self._value_date = value_dates.pop() + if len(value_dates) >= 1: warn("not all instruments have the same trade date, picking {}". - format(self._trade_date)) + format(self._value_date)) self._vs = {} @property @@ -64,18 +64,18 @@ class Portfolio: t.reset_pv() @property - def trade_date(self): - return self._trade_date + def value_date(self): + return self._value_date - @trade_date.setter - def trade_date(self, d): + @value_date.setter + def value_date(self, d): #we try to keep everybody in sync for index in self.indices: - index.trade_date = d + index.value_date = d if len(self.indices) == 0: for swaption in self.swaptions: - self.swaption.trade_date = d - self._trade_date = d + self.swaption.value_date = d + self._value_date = d def mark(self, source_list=[], option_type=None, model="black", surface_id=None): #add None so that we always try everything diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index 65f77563..52aadcfd 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -28,7 +28,7 @@ def run_swaption_scenarios(swaption, date_range, spread_shock, vol_shock, r = [] for date in date_range: - swaption.index.trade_date = date.date() + swaption.index.value_date = date.date() if vol_time_roll: T = swaption.T for s in spreads: swaption.ref = s @@ -46,7 +46,7 @@ def run_index_scenarios(index, date_range, spread_shock, params=['pnl']): r = [] for date in date_range: - index.trade_date = date.date() + index.value_date = date.date() for s in spreads: index.spread = s r.append([date, s] + [getattr(index, p) for p in params]) @@ -86,7 +86,7 @@ def run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, with MaybePool(nproc) as pool: pmap = pool.map if pool else map for date in date_range: - portf.trade_date = date.date() + portf.value_date = date.date() if vol_time_roll: t = [swaption.T for swaption in portf.swaptions] for s in spreads: |